Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) NA NA NA
Score NA NA NA
Market Cap (Millions USD) NA NA NA
Predicted Beta 0 -0.01 0
Idiosyncratic Volatility 0.33 0.3 0.48

Annualized return and volatility

CRSOX
Annualized Return -0.0298
Annualized Std Dev 0.1624
Annualized Sharpe (Rf=0%) -0.1835

Row

Daily Return Statistics

CRSOX
Observations 3835.0000
NAs 1279.0000
Minimum -0.0638
Quartile 1 -0.0054
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0053
Maximum 0.0588
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0102
Skewness -0.2307
Kurtosis 3.4824

Downside Risk

CRSOX
Semi Deviation 0.0074
Gain Deviation 0.0067
Loss Deviation 0.0074
Downside Deviation (MAR=210%) 0.0127
Downside Deviation (Rf=0%) 0.0074
Downside Deviation (0%) 0.0074
Maximum Drawdown 0.6871
Historical VaR (95%) -0.0162
Historical ES (95%) -0.0244
Modified VaR (95%) -0.0168
Modified ES (95%) -0.0273
From Trough To Depth Length To Trough Recovery
2008-07-03 2016-01-20 NA -0.6871 2940 1934 NA
2006-05-12 2006-10-03 2007-09-20 -0.1517 348 102 246
2005-09-30 2006-03-08 2006-05-11 -0.1438 157 111 46
2005-03-17 2005-05-19 2005-08-11 -0.1135 104 46 58
2008-03-14 2008-03-20 2008-05-21 -0.1041 48 5 43

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec CRSOX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA NA NA NA
2003 NA NA NA NA NA NA NA NA NA NA NA NA NA
2004 NA NA NA NA NA NA NA NA NA NA NA 0.0 NA
2005 -0.8 -0.6 0.2 0.0 2.0 1.1 1.1 1.9 0.0 -0.4 2.2 0.0 6.7
2006 -1.3 0.0 0.0 1.4 -0.9 0.0 -0.3 -0.9 0.0 0.4 -0.3 0.0 -2.1
2007 -0.7 -0.7 0.0 -0.1 0.8 0.0 -1.0 0.0 -1.8 -0.5 0.0 0.0 -3.9
2008 -1.1 0.0 -0.9 -2.1 0.0 0.9 -0.4 0.0 -0.3 0.0 -4.4 0.0 -8.0
2009 0.0 0.0 -1.0 3.2 3.1 1.0 0.0 -1.7 -1.7 0.0 0.8 0.0 3.6
2010 1.3 -0.5 1.3 0.0 -1.0 -0.9 0.0 1.2 -0.8 0.1 2.6 0.0 3.3
2011 2.0 0.6 -0.1 0.0 -0.9 -0.7 -0.2 -0.9 0.0 -1.5 -0.1 0.0 -1.8
2012 0.0 0.3 0.0 0.1 -1.3 0.0 -0.6 0.0 0.4 0.4 0.0 0.0 -0.8
2013 0.4 -0.6 -0.5 -1.7 0.0 0.8 0.0 0.0 -0.7 -1.0 0.0 0.0 -3.3
2014 0.0 0.0 -0.5 -1.0 0.0 -0.1 -0.7 0.0 -0.1 0.0 1.7 0.0 -0.8
2015 0.0 0.0 1.8 -0.3 0.2 -1.0 0.0 -2.5 -0.8 0.0 0.6 0.0 -2.1
2016 -1.6 0.2 -1.1 0.0 0.6 1.0 -1.6 -0.6 0.0 -0.4 1.2 0.0 -2.3
2017 1.2 0.8 0.0 0.2 -0.2 0.0 -1.0 0.4 0.0 0.4 0.8 0.0 2.6
2018 0.0 0.2 0.0 -0.2 -0.2 0.0 -1.4 0.0 1.4 0.4 0.0 0.0 0.2
2019 0.4 -0.6 0.6 -0.2 0.0 -0.9 -2.4 0.0 0.2 1.3 0.0 0.7 -0.9

Row

Rolling Performance Chart

Snail Trail Chart